SEB Asset Selection Fund

Fact sheet as of 4 December, 2023

Past performance does not guarantee future performance. The value of investment funds and other financial instruments may rise as well as fall and there is no guarantee you will recover your original investment. Key Information Document and prospectuses are available on www.sebgroup.lu/funds.

The fund is actively managed and aims to deliver an average annual return over time, corresponding to the risk-free interest rate, plus five percent. The fund is using a quantitative strategy that forecasts price evolution across various asset classes, determines long/short positions, and manages overall risk from an absolute return perspective. The fund has exposure to one or more asset classes, such as bonds, equities, currencies, and commodities, either through direct investment or derivatives. The fund's managers can choose to invest through long positions (meaning they rise in value when the underlying asset rises or falls in value when the asset falls), or short positions (meaning they fall in value when the underlying asset rises or increases in value when the asset declines), in all asset classes. The fund does not have a benchmark index but uses the 3-Month Treasury Bill Return Index to calculate performance fees.

INVESTMENT TEAM

The fund is managed by our Quantitative Strategies and Liquid Alternatives team with Otto Francke and Mikael Nilsson as the lead portfolio managers. The team, based in Stockholm, has extensive experience of systematic strategies.

Performance (EUR)

NAV: 18.44 (12/4/2023). AuM (M EUR):360.74 (10/31/2023)
When calculating the returns the inflation is not taken into account

Return % EUR

Accumulated
since
Fund Benchmark
1 day -0.20 -
1 month -1.73 -
6 months -3.05 -
1 year -5.92 -
2 years 10.48 -
3 years 16.71 -
5 years 21.00 -
Year to date -4.71 -
Average annual growth
3 years 5.29 -
5 years 3.89 -

Largest positions1 Share  %

3 MONTH SOFR FUT Sep24 -26.6
3 MONTH SOFR FUT Jun24 26.5
EURO-SCHATZ FUT Dec23 -25.1
US 2YR NOTE (CBT) Dec23 -21.6
NASDAQ 100 E-MINI Dec23 16.4
AUST 3YR BOND FUT Dec23 -16.1
US 10YR NOTE (CBT)Dec23 -14.3
German Treasury Bill 231122 13.4
German Treasury Bill 231213 13.4
Dutch Treasury Certificate 240130 13.3
1Last updated 9/29/2023. Source: SEB

risk measures 1

Standard Deviation (Fund)12.7
Standard Deviation (Index)-
Tracking error-
Sharpe Ratio0.44
Information Ratio-
Alpha-
Beta-
124 months rolling. Last updated 31 October, 2023

Other information

As of 2 November 2016, the fund´s Management company is SEB Investment Management AB. SEB works actively with sustainability and follows the UN Principles for Responsible Investments. Read more at www.sebgroup.com

SEB Asset Selection Fund, 4 December 2023

Investment comment

Texts as of October 2023
  • Central bank focus and geopolitical concerns
  • Slightly positive return thanks to fixed income and currencies
  • Continued nuanced trend signals in the stock markets

Market Update

The world's broad equity markets developed generally negatively during the month, with a few countries as exceptions. Bond yields saw mixed developments, although US yields rose sharply. The focus on the central banks remained strong. The strength of the US economy, where growth was a positive surprise mainly driven by strong consumption and where the labor market remained resilient, continued to pressure the American central bank Fed. Strong interest rate movements at the end of the rate hike cycle where expectations of Fed rate cuts and an expected increase in government bond supply pushed interest rates higher while interest rate sensitive risk appetite and increased geopolitical risks from the war in the Middle East created downward pressure. In Europe, economies continued to show lower levels of activity in general and inflation continued to decline, albeit at a mixed pace. The reporting season began, and a significant number of reporting companies delivered strong reports. At the same time, there was some disappointments and concerns about the effects of the high interest rates on the companies ahead of the coming quarters. Uncertainty in the Middle East with the risk of spillover effects pushed oil prices higher. The USD was unchanged versus the EUR but generally strengthened against other currencies.

Fund update

In October, the fund was up approx. 0.3% thanks to positive contributions from both currencies and interest rates. On the interest rate side, our short positions in the American long-term interest rates made a good contribution. In currencies, our short positions in JPY and CAD were favorable. Our net long exposure to the stock market, on the other hand, was costly this month, mainly in the S&P500 and Nasdaq100 futures.

Strategy going forward

We are still positioned for the interest rate to rise and are again short in all markets and we are also still long USD against other currencies. On the equity side, we are more nuanced and have seen the trend signals shift during the month to a more neutral net position.

Key Facts

Year of launch2006
Value at launch (EUR)10.00
Fund Management CompanySEB Investment Management AB
SRI scale 1-74
ISINLU0256624742
Base CurrencyEUR
Share ClassC (EUR)
Legal StructureUCITS
Morningstar rating
Turnover Ratio2.301
Use of derivativesYes2
1From 1/31/2015
2In pursuit of excess return the fund manager takes derivatives positions (mainly in futures and forwards) on indices or single instruments within the equity, bond, currency and commodity markets.

Dividend

Non-distributing share class

Costs %

Management Fee1.10
Performance Fee20.001
Entry FeeNone
Ongoing Charges21.183
1Of the difference between: a) the return exceeding the previously highest NAV/share (“High Water Mark”) and b) the return on the 3-month Treasury bill index since the High Water Mark was achieved. A negative index return is replaced by 0% index return.
2The ongoing charges include the management fee and constitute payment for fund management, including marketing and distribution. The ongoing charges do not include transaction costs such as brokerage commissions on securities transactions.
3From 31/05/2023

More information

Welcome to contact your financial advisor for more information or visit www.sebgroup.lu.

Important information

This material is prepared by SEB and contains general information regarding financial instruments marketed, sold or solicited by SEB. SEB is the global brand name for Skandinaviska Enskilda Banken AB (publ), its subsidiaries and affiliated companies. Neither this material nor the products described in it are intended for distribution or sale in the United States or to US persons, and any such distribution is not allowed. The offering of shares or units in the funds may also be restricted in other jurisdictions. This document may not be used to make an offer or solicitation with respect to the sale of shares or units where such an offer or solicitation is unlawful. Although the information in this material is based on sources deemed by SEB to be reliable, SEB assumes no liability whatsoever for incorrect or missing information or for any loss, damage or claim arising from the use of this material. Past performance does not guarantee future performance. The value of investment funds and other financial instruments may rise as well as fall and there is no guarantee you will recover your original investment. If you or a fund invests in financial instruments denominated in a foreign currency, changes in currency exchange rates can affect the return on the investment. SEB makes no representation that funds whose share or unit classes aim at hedging the fund’s return from changes in currency exchange rates will succeed in achieving this. Any tax information in this material is based on regulations valid as per the date of this presentation and may be subject to change. Note that any tax information in this material is general. Kindly contact your SEB investment advisor for tax and investment advice appropriate for your situation. You are fully and solely responsible for your investment decision. This material is not intended for or suitable as the sole basis for investment decisions. Instead, you should base your decision on the information in the fund’s product documentation, including its fact sheet, Key Information Document, fund regulations and prospectus. These are available on www.sebgroup.lu/funds. Tuesday, December 5, 2023 6:16:46 PM